导言.ppt

1、John C.Hull,http:/www.rotman.utoronto.ca/hull,金融有很多种不同的方式、是一种技术活、一种科技。金融工具是实现金融功能的载体。金融工具类似于工程工具(设备)，一个是创造产品，一个是创造价值、管理风险。工具(instrument)：奴隶是会说话的工具、传宗接代的工具、养儿防老衍生工具的运用和创造是金融工程的主要内容。,Chapter 1导言Introduction,1.衍生产品是怎样起作用的2.在实际中如何运用3.如何定价,What is a Derivative?,A derivative is an instrument whose value d

2、epends on,or is derived from,the value of another asset.Examples:futures,forwards,swaps,options,exotics基本工具：债券、股票基本变量：利率、汇率、指数收益和风险权利和义务,6,Why Derivatives Are Important,Derivatives play a key role in transferring risks in the economyThe underlying assets include stocks,currencies,interest rates,comm

3、odities,debt instruments,electricity,insurance payouts,the weather,etcMany financial transactions have embedded derivativesThe real options approach to assessing capital investment decisions has become widely accepted信用衍生产品、电力衍生产品、气候衍生产品、保险衍生产品实物期权信用危机证券化过程,7,How Derivatives Are Traded,On exchanges

4、such as the Chicago Board Options ExchangeIn the over-the-counter(OTC)market where traders working for banks,fund managers and corporate treasurers contact each other directly本章首先讨论一下远期、期货和期权市场，然后大体讨论一下市场对冲者、投机者和套利者如何使用这些衍生产品。,8,1.1 交易所市场,在衍生产品交易所市场中，人们交易的是经过交易所标准化之后的衍生产品。芝加哥交易所CBOT 1848年芝加哥商品交易所CME

5、 1919年合并 CME集团芝加哥期权交易所CBOE,交易方式,公开喊价系统电子交易算法交易、黑箱交易、自动交易、高频率交易、智能交易,1.2 场外市场OTC,场外市场是由电话和计算机将交易员联系在一起的网络系统，交易员通过电话完成交易。金融机构常常是市场流行产品的做市商。买入价 bid price卖出价 offer price优点：合约的内容不受交易所的限制缺点：信用风险/对手风险,业界事例1-1 雷曼的破产,2008年9月15日，雷曼兄弟向法庭申请破产保护，这是美国历史上最大的一起破产案，整个衍生产品市场受到震动。直到破产的最后时刻，雷曼兄弟一直好像都有生存的机会。几家公司（比如韩国发展银

6、行、英国巴克莱银行以及美国银行）都曾表示有购买雷曼的意愿，可是一直到最后都没有达成交易。许多人认为雷曼会是“大而不倒”的公司，同时认为在最终没有买主的情况下，政府也会出资救助雷曼，但事实并非如此。究竟发生了什么？雷曼的破产是由于高杠杆、高风险投资以及流动性等多种原因。,商业银行因承接存款，必须按照监管规定设定一定数量的资本金，但雷曼兄弟是一家投资银行，从而不受这一资本金监管的约束。在2007年，雷曼兄弟的杠杆比率高达31:1，这意味着资产下跌3%4%就会消耗掉整个银行的资本金。雷曼主席与首席执行官理查德.福尔德崇尚激进的风险文化，据说他曾对自己的高管讲“每天都是在打仗，你们必须去消灭敌手”。雷

7、曼的首席风险官很有能力，但其影响却有限，这位风险官在2007年从高管委员会上被除名。雷曼兄弟最终承担的风险产品包括大量由次债派生出的债券。雷曼的运作依赖短期资金贷款，当市场对雷曼失去信心时，这些贷款人不愿意再将贷款进行延期，因此促使了雷曼的破产。,雷曼在场外衍生产品市场非常活跃，其交易对手数量高达8000多个，交易数量成千上万，雷曼的交易对手在交易中常常需要支付抵押品，这些抵押品却被雷曼用于不同的目的。显然，要想搞清楚究竟是谁欠谁的钱，这简直就是个噩梦。,The Lehman Bankruptcy(Business Snapshot 1.10),Lehmans filed for bankru

8、ptcy on September 15,2008.This was the biggest bankruptcy in US historyLehman was an active participant in the OTC derivatives markets and got into financial difficulties because it took high risks and found it was unable to roll over its short term fundingIt had hundreds of thousands of transaction

9、s outstanding with about 8,000 counterpartiesUnwinding these transactions has been challenging for both the Lehman liquidators and their counterparties,15,Size of OTC and Exchange-Traded Markets(Figure 1.1,Page 3),16,Source:Bank for International Settlements.Chart shows total principal amounts for O

10、TC market and value of underlying assets for exchange market,How Derivatives are Used,To hedge risksTo speculate(take a view on the future direction of the market)To lock in an arbitrage profitTo change the nature of a liabilityTo change the nature of an investment without incurring the costs of sel

11、ling one portfolio and buying another,17,1.3 远期合约(forward contract),Forward contracts are similar to futures except that they trade in the over-the-counter marketForward contracts are particularly popular on currencies and interest rates外币远期合约利率远期合约远期即期,看多、做多、多头看空、做空、空头为什么要做多？为什么要做空？作为多头，当资产价格上涨时就获得

12、盈利，但当资产价格下降时就发生损失。当资产价格低于某一界限值，就会发出止损命令。作为空头，当资产价格下降时就获得盈利，但当资产价格上涨时就发生损失。当资产价格高于某一界限值，就会发出止损命令。,Foreign Exchange Quotes for GBP,May 24,2010(See page 5),20,Forward Price,The forward price for a contract is the delivery price that would be applicable to the contract if were negotiated today(i.e.,it i

13、s the delivery price that would make the contract worth exactly zero)The forward price may be different for contracts of different maturities(as shown by the table)远期价格即期价格,21,Terminology,The party that has agreed to buy has what is termed a long positionThe party that has agreed to sell has what is

14、 termed a short position,22,Example(page 5),On May 24,2010 the treasurer of a corporation enters into a long forward contract to buy 1 million in six months at an exchange rate of 1.4422This obligates the corporation to pay$1,442,200 for 1 million on November 24,2010What are the possible outcomes?,2

15、3,Profit from a Long Forward Position(K=delivery price=forward price at time contract is entered into),24,Profit from a Short Forward Position(K=delivery price=forward price at time contract is entered into),25,1.4 期货合约 Futures Contracts(page 7),Agreement to buy or sell an asset for a certain price

16、at a certain timeSimilar to forward contractWhereas a forward contract is traded OTC,a futures contract is traded on an exchange,26,Exchanges Trading Futures,CME Group(formerly Chicago Mercantile Exchange and Chicago Board of Trade)NYSE EuronextBM&F(Sao Paulo,Brazil)TIFFE(Tokyo)and many more(see lis

17、t at end of book),27,Examples of Futures Contracts,Agreement to:Buy 100 oz.of gold US$1400/oz.in December Sell 62,500 1.4500 US$/in MarchSell 1,000 bbl.of oil US$90/bbl.in April,28,1.Gold:An Arbitrage Opportunity?,Suppose that:The spot price of gold is US$1,400The 1-year forward price of gold is US$

18、1,500The 1-year US$interest rate is 5%per annumIs there an arbitrage opportunity?,29,2.Gold:Another Arbitrage Opportunity?,Suppose that:The spot price of gold is US$1,400The 1-year forward price of gold is US$1,400The 1-year US$interest rate is 5%per annumIs there an arbitrage opportunity?,30,The Fo

19、rward Price of Gold(ignores the gold lease rate),If the spot price of gold is S and the forward price for a contract deliverable in T years is F,then F=S(1+r)Twhere r is the 1-year(domestic currency)risk-free rate of interest.In our examples,S=1400,T=1,and r=0.05 so thatF=1400(1+0.05)=1470,31,1.Oil:

20、An Arbitrage Opportunity?,Suppose that:The spot price of oil is US$95The quoted 1-year futures price of oil is US$125The 1-year US$interest rate is 5%per annumThe storage costs of oil are 2%per annumIs there an arbitrage opportunity?,32,2.Oil:Another Arbitrage Opportunity?,Suppose that:The spot pric

21、e of oil is US$95The quoted 1-year futures price of oil is US$80The 1-year US$interest rate is 5%per annumThe storage costs of oil are 2%per annumIs there an arbitrage opportunity?,33,1.5 期权合约 Options,A call option is an option to buy a certain asset by a certain date for a certain price(the strike

22、price)A put option is an option to sell a certain asset by a certain date for a certain price(the strike price),34,9.1 期权的类型 Review of Option Types,A call is an option to buyA put is an option to sell到期日执行价格A European option can be exercised only at the end of its lifeAn American option can be exerc

23、ised at any time,35,9.2 期权的头寸 Option Positions,Long callLong putShort callShort put,36,看涨期权多头 Long Call(Figure 9.1,Page 195),Profit from buying one European call option:option price=$5,strike price=$100,option life=2 months,37,一般来说，当到期日股票价格高于执行价格，期权持有人都应该行使期权。,看涨期权空头 Short Call(Figure 9.3,page 197),

24、Profit from writing one European call option:option price=$5,strike price=$100,38,看跌期权多头 Long Put(Figure 9.2,page 196),Profit from buying a European put option:option price=$7,strike price=$70,39,看跌期权空头 Short Put(Figure 9.4,page 197),Profit from writing a European put option:option price=$7,strike p

25、rice=$70,40,Payoffs from OptionsWhat is the Option Position in Each Case?,K=Strike price,ST=Price of asset at maturity,41,Payoff,Payoff,欧式看涨期权多头的收益：欧式看涨期权空头的收益：欧式看跌期权多头的收益：欧式看跌期权空头的收益：,头寸状况收益(payoff)的表达式：,头寸状况损益(profit)的表达式：,欧式看涨期权多头的损益：欧式看涨期权空头的损益：欧式看跌期权多头的损益：欧式看跌期权空头的损益：,Google Call Option Prices(

26、June 15,2010;Stock Price is bid 497.07,offer 497.25);See Table 1.2 page 8;Source:CBOE,44,Google Put Option Prices(June 15,2010;Stock Price is bid 497.07,offer 497.25);See Table 1.3 page 9;Source:CBOE,45,Options vs Futures/Forwards,A futures/forward contract gives the holder the obligation to buy or

27、sell at a certain priceAn option gives the holder the right to buy or sell at a certain price,46,1.6 交易员的种类 Types of Traders,对冲者Hedgers：利用衍生产品合约来减少自身面临的由于市场变化而产生的风险。投机者Speculators：利用这些产品对今后市场变量的走向下赌注。套利者Arbitrageurs：采用两个或更多相互抵消的交易来锁定盈利。对冲基金已经成为衍生产品最大的用户。,47,业界事例1-2 对冲基金,对冲基金在近年来已经成为金融市场的中国参与者，它们运用衍生

28、产品进行对冲、投机以及套利。对冲基金与共同基金类似，基金管理者将客户的资金投资，但是对冲基金与共同基金的不同之处是对冲基金的资金来自较为成熟的客户，并且对冲基金不能进行公共融资。共同基金则受到监管条例的限制，基金份额随时可以兑现，必须公布投资策略，基金不能进行卖空交易，等等。对冲基金并不受这些条例的制约，从而可以采用较为复杂、与众不同并具有独到见解的投资策略。,对冲基金管理人的收费与对冲基金的表现有关，一般收费都较高。收费数量可能高达管理资产的1%2%，再加上盈利的20%。对冲基金现在已经变得十分普遍，现有的对冲基金数量已经高达1万亿美元。“基金的基金”的建立是对对冲基金的组合进行投资。对冲基

29、金经理采用的投资策略常常包括利用衍生产品来设定投机和套利头寸。一旦设定这些策略后，对冲基金投资经理就要采取以下行动：对基金面临的风险进行评估；确定哪些风险可以接受，哪些风险应该做对冲；设计交易策略来对冲不可接受的风险。,以下是对冲基金常常采用的交易策略：股票多空对冲：对冲组合包括买入价格被市场低估的股票和卖出价格被市场高估的股票，因此市场总体变化趋势对组合的影响会很小，可转换债券套利：进入可转换债券的多头以及标的股票的空头，并以动态形式管理标的股票的空头。受压债券：买入频临破产企业的债券。新兴市场：投资于发展中国家或新兴市场公司的债券和股票，或投资于这些国家的国债。全球宏观：投资反映预期全球宏

30、观经济走势的交易。兼并套利：在兼并和收购消息公布后交易，同时寄希望于并购交易的成功，以达到盈利的目的。,Hedge Funds(see Business Snapshot 1.2,page 11),Hedge funds are not subject to the same rules as mutual funds and cannot offer their securities publicly.Mutual funds must disclose investment policies,makes shares redeemable at any time,limit use of

31、leveragetake no short positions.Hedge funds are not subject to these constraints.Hedge funds use complex trading strategies are big users of derivatives for hedging,speculation and arbitrage,51,Types of Hedge Funds,Long/Short EquitiesConvertible ArbitrageDistressed SecuritiesEmerging MarketsGlobal m

32、acroMerger Arbitrage,52,1.7 对冲者,1.7.1 利用远期对冲假定今天是2010年5月24日，一家美国的进口公司得知在8月24日将向一家英国供应商支付1000万英镑。公司可以从金融机构买入3个月期限、汇率为1.4415美元的英镑远期合约来对冲其外汇风险。这样做的实际效果是向其英国供应商支付的美元数量为14415000.,考虑一家美国出口公司。该公司向英国出口商品。在2010年5月24日已知公司在3个月后将收入3000万英镑。公司可以利用英镑远期合约以1.441美元的价格卖出3000万英镑。这样做的实际效果是卖出英镑而收入美元的数量为43230000美元。对冲可以减少风

33、险，但对冲后的实际效果并不一定比不对冲的实际效果更好。,Hedging Examples(pages 10-12),A US company will pay 10 million for imports from Britain in 3 months and decides to hedge using a long position in a forward contractAn investor owns 1,000 Microsoft shares currently worth$28 per share.A two-month put with a strike price of$27.50 costs$1.The investor decides to hedge by buying 10 contracts,55,1.7.2 利用期权对冲考虑某投资者在某年5月份拥有1000